Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 7 | 9 | 10 |
| Score | 2.08 | 5.09 | 9.98 |
| Market Cap (Millions USD) | 2761.29 | 2551.19 | 2667.13 |
| Predicted Beta | 3.5 | 3.5 | 3.5 |
| Idiosyncratic Volatility | 5.56 | 7.75 | 8.51 |
Annualized return and volatility
| IGV | |
|---|---|
| Annualized Return | 0.0870 |
| Annualized Std Dev | 0.2517 |
| Annualized Sharpe (Rf=0%) | 0.3455 |
Row
Daily Return Statistics
| IGV | |
|---|---|
| Observations | 4719.0000 |
| NAs | 395.0000 |
| Minimum | -0.0875 |
| Quartile 1 | -0.0065 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0083 |
| Maximum | 0.1218 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0159 |
| Skewness | 0.1368 |
| Kurtosis | 4.6831 |
Downside Risk
| IGV | |
|---|---|
| Semi Deviation | 0.0113 |
| Gain Deviation | 0.0113 |
| Loss Deviation | 0.0116 |
| Downside Deviation (MAR=210%) | 0.0158 |
| Downside Deviation (Rf=0%) | 0.0111 |
| Downside Deviation (0%) | 0.0111 |
| Maximum Drawdown | 0.6218 |
| Historical VaR (95%) | -0.0259 |
| Historical ES (95%) | -0.0374 |
| Modified VaR (95%) | -0.0235 |
| Modified ES (95%) | -0.0339 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2001-07-18 | 2002-10-07 | 2007-10-01 | -0.6218 | 1586 | 310 | 1276 |
| 2007-11-01 | 2008-11-20 | 2010-10-26 | -0.4981 | 766 | 273 | 493 |
| 2011-07-08 | 2011-08-19 | 2012-03-13 | -0.2630 | 174 | 31 | 143 |
| 2018-09-17 | 2018-12-24 | 2019-02-22 | -0.2245 | 111 | 70 | 41 |
| 2015-12-02 | 2016-02-09 | 2016-05-27 | -0.2151 | 125 | 48 | 77 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IGV | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | -0.8 | 0.0 | -2.2 | 2.0 | 0.0 | 0.0 | -1.0 |
| 2002 | 0.1 | 4.9 | 0.3 | -2.1 | 0.0 | -5.3 | -3.4 | 0.0 | 1.6 | 2.8 | 0.0 | 0.0 | -1.4 |
| 2003 | 0.0 | 0.0 | 0.4 | 1.1 | 0.0 | 1.4 | -0.6 | 0.0 | 2.9 | 0.0 | 1.9 | 0.0 | 7.2 |
| 2004 | 0.0 | 1.3 | 1.2 | 0.0 | -0.6 | -1.9 | 0.0 | -0.3 | 3.8 | 1.5 | 2.8 | 0.0 | 7.8 |
| 2005 | 0.2 | 1.1 | 0.6 | 0.0 | 0.5 | -0.4 | -0.3 | -0.5 | 0.0 | 0.2 | 1.5 | 0.0 | 3.2 |
| 2006 | 0.1 | 1.5 | 0.0 | -0.5 | 0.8 | 0.0 | -1.2 | 0.6 | 0.0 | -1.2 | -1.3 | 0.0 | -1.2 |
| 2007 | 1.0 | -0.2 | 0.0 | -0.2 | -0.1 | 0.0 | 0.7 | 0.0 | 0.9 | -1.8 | 0.0 | 0.0 | 0.4 |
| 2008 | 2.2 | 0.0 | 3.6 | 3.5 | 0.0 | 0.8 | 0.2 | 0.0 | -2.9 | 0.0 | -7.9 | 0.0 | -0.9 |
| 2009 | 0.0 | 0.0 | 1.5 | 0.2 | 2.8 | 0.7 | 0.0 | -1.6 | -2.9 | 0.0 | 1.8 | 0.0 | 2.4 |
| 2010 | 1.1 | 1.4 | -0.1 | 0.0 | -1.4 | 0.1 | 0.0 | 3.1 | 0.4 | -0.1 | 2.5 | 0.0 | 7.2 |
| 2011 | 2.0 | -2.5 | 0.8 | 0.0 | -2.3 | 0.9 | -0.9 | -1.6 | 0.0 | -3.1 | -0.2 | 0.0 | -6.9 |
| 2012 | 1.9 | 1.3 | 0.0 | 0.9 | -3.3 | 0.0 | -0.9 | 0.0 | -1.0 | 2.3 | 0.0 | 0.0 | 1.2 |
| 2013 | 1.3 | 1.1 | -1.3 | -0.6 | 0.0 | 0.6 | 1.5 | 0.0 | 0.7 | 0.0 | 0.0 | 0.0 | 3.3 |
| 2014 | 0.0 | 0.0 | 1.7 | 0.2 | 0.0 | 1.2 | -1.1 | 0.0 | -1.6 | 0.0 | -0.6 | 0.0 | -0.2 |
| 2015 | 0.0 | 0.0 | -0.5 | 0.5 | 0.4 | 0.3 | 0.0 | -2.9 | 1.2 | 0.0 | 1.1 | 0.0 | 0.1 |
| 2016 | 0.4 | 3.7 | 0.8 | 0.0 | 0.4 | 0.0 | -0.1 | 0.2 | 0.0 | -0.5 | -3.3 | 0.0 | 1.5 |
| 2017 | -0.6 | 1.7 | 0.0 | 0.7 | 0.7 | 0.0 | 0.3 | -0.1 | 0.0 | -0.5 | -0.4 | 0.0 | 1.8 |
| 2018 | -0.3 | -0.8 | 0.0 | 0.9 | 1.6 | 0.0 | 0.6 | 0.0 | -0.3 | 1.0 | 0.0 | 0.0 | 2.7 |
| 2019 | 0.9 | 0.5 | 1.4 | -1.6 | 0.0 | 1.5 | -0.1 | 0.0 | -1.1 | 1.2 | 0.0 | -0.1 | 2.6 |
Row
Rolling Performance Chart
Snail Trail Chart
